[1]} investigate the features of a low–frequency component in a \(\mathsf {MEM}\)  in the context of Markov Switching (\(\mathsf {MS-AMEM}\) ) and Smooth Transition (\(\mathsf {ST-AMEM}\) ) models, suggesting the concept of changing average volatility levels and comparing the behavior of the \(\mathsf {MS-AMEM}\)  and of the \(\mathsf {ST-AMEM}\)  to various versions of the \(\mathsf {HAR}\)  model by [2]} in forecasting. Among these models, there is a \(\mathsf {HAR}\)  specification with jumps: the presence of jumps is addressed within the \(\mathsf {MEM}\)  approach by [3]}.
